Saving files on a580, not just viewing them

Ciao
I've got a problem here. It's not like Firefox Or IE where you can choose what to do - to run or to save.
Finally I added a new feature – (PC Mobile provider) - wireless internet.
The problem is that when I click on a link with a midi file, I hear the music, but I cannot save it and then use it The same with pictures - I can see them, but cannot save.

How to save a MIDI/JPG file on SPH-A580 instead of listening/viewing it?

Thank you in advance!

P.S. this is not just a technical question, but a way to defeat PCMobile with their lust for money - cause these ringtones are FREEEEE!

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I don't understand...